Practitioners' Corner
研究了国际投资组合分散化中资产相关性和方差随时间变化的问题，指出在熊市或高波动时期相关性可能上升，从而削弱分散化收益，并讨论了检验相关性变化时的统计复杂性。
A fundamental issue in international portfolio diversification relates to the evolution over time of the correlations and variances of assets. If correlations were to increase in bad times or when markets were highly volatile, the diversification benefits would certainly be compromised when most needed. However, statistical complications arise in addressing the issue. The usual approach to test whether correlation changes during bear period conditions on observed ex post realized low market returns. Yet care must exercised in testing such a proposition, because correlation is a complex function of returns. Boyer, Gibson, and Loretan (1999) show that conditional correlation is highly nonlinear in the level of returns on which it is conditioned. One cannot conclude that the true correlation is changing simply by looking at the difference between the values obtained conditioning, for example, on low or high values of one variable or both variables. The distribution of conditional correlation under...